The modal dialogs in Silverlight are not really modal - they block the UI, but not the thread. To achieve the wanted behavior of a modal Window you will need to hook-up to the Closed event and execute the logic you want to be executed after closing the dialog box in the event handler. We implemented the dialogs in this way because Silverlight does not allow us to block the UI thread. MessageBox is using a special browser notification window which is not part of Silverlight.
You could find more about the Alert, Prompt and Confirm methods here
the Telerik team